Sidus Alligator戦略

using System;
using System.Collections.Generic;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Sidus Alligator strategy using triple EMA alignment.
/// </summary>
public class SidusAlligatorStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _jawPeriod;
	private readonly StrategyParam<int> _teethPeriod;
	private readonly StrategyParam<int> _lipsPeriod;

	private decimal? _prevLips;
	private decimal? _prevTeeth;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int JawPeriod
	{
		get => _jawPeriod.Value;
		set => _jawPeriod.Value = value;
	}

	public int TeethPeriod
	{
		get => _teethPeriod.Value;
		set => _teethPeriod.Value = value;
	}

	public int LipsPeriod
	{
		get => _lipsPeriod.Value;
		set => _lipsPeriod.Value = value;
	}

	public SidusAlligatorStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");

		_jawPeriod = Param(nameof(JawPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Jaw Period", "Slow EMA (Jaw)", "Indicators");

		_teethPeriod = Param(nameof(TeethPeriod), 25)
			.SetGreaterThanZero()
			.SetDisplay("Teeth Period", "Medium EMA (Teeth)", "Indicators");

		_lipsPeriod = Param(nameof(LipsPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Lips Period", "Fast EMA (Lips)", "Indicators");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevLips = null;
		_prevTeeth = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevLips = null;
		_prevTeeth = null;

		var jaw = new ExponentialMovingAverage { Length = JawPeriod };
		var teeth = new ExponentialMovingAverage { Length = TeethPeriod };
		var lips = new ExponentialMovingAverage { Length = LipsPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(jaw, teeth, lips, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, jaw);
			DrawIndicator(area, teeth);
			DrawIndicator(area, lips);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal jawVal, decimal teethVal, decimal lipsVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevLips = lipsVal;
			_prevTeeth = teethVal;
			return;
		}

		if (_prevLips == null || _prevTeeth == null)
		{
			_prevLips = lipsVal;
			_prevTeeth = teethVal;
			return;
		}

		// Lips crosses above teeth with alligator aligned (lips > teeth > jaw)
		if (_prevLips.Value <= _prevTeeth.Value && lipsVal > teethVal && lipsVal > jawVal)
		{
			if (Position < 0)
				BuyMarket();
			if (Position <= 0)
				BuyMarket();
		}
		// Lips crosses below teeth with alligator aligned (lips < teeth < jaw)
		else if (_prevLips.Value >= _prevTeeth.Value && lipsVal < teethVal && lipsVal < jawVal)
		{
			if (Position > 0)
				SellMarket();
			if (Position >= 0)
				SellMarket();
		}

		_prevLips = lipsVal;
		_prevTeeth = teethVal;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class sidus_alligator_strategy(Strategy):
    def __init__(self):
        super(sidus_alligator_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._jaw_period = self.Param("JawPeriod", 50) \
            .SetDisplay("Jaw Period", "Slow EMA (Jaw)", "Indicators")
        self._teeth_period = self.Param("TeethPeriod", 25) \
            .SetDisplay("Teeth Period", "Medium EMA (Teeth)", "Indicators")
        self._lips_period = self.Param("LipsPeriod", 10) \
            .SetDisplay("Lips Period", "Fast EMA (Lips)", "Indicators")

        self._prev_lips = None
        self._prev_teeth = None

    @property
    def CandleType(self):
        return self._candle_type.Value

    @property
    def JawPeriod(self):
        return self._jaw_period.Value

    @property
    def TeethPeriod(self):
        return self._teeth_period.Value

    @property
    def LipsPeriod(self):
        return self._lips_period.Value

    def OnReseted(self):
        super(sidus_alligator_strategy, self).OnReseted()
        self._prev_lips = None
        self._prev_teeth = None

    def OnStarted2(self, time):
        super(sidus_alligator_strategy, self).OnStarted2(time)
        self._prev_lips = None
        self._prev_teeth = None

        jaw = ExponentialMovingAverage()
        jaw.Length = self.JawPeriod
        teeth = ExponentialMovingAverage()
        teeth.Length = self.TeethPeriod
        lips = ExponentialMovingAverage()
        lips.Length = self.LipsPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(jaw, teeth, lips, self._on_process).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, jaw)
            self.DrawIndicator(area, teeth)
            self.DrawIndicator(area, lips)
            self.DrawOwnTrades(area)

    def _on_process(self, candle, jaw_value, teeth_value, lips_value):
        if candle.State != CandleStates.Finished:
            return

        jv = float(jaw_value)
        tv = float(teeth_value)
        lv = float(lips_value)

        if self._prev_lips is None or self._prev_teeth is None:
            self._prev_lips = lv
            self._prev_teeth = tv
            return

        # Lips crosses above teeth with alligator aligned (lips > teeth > jaw)
        if self._prev_lips <= self._prev_teeth and lv > tv and lv > jv:
            if self.Position < 0:
                self.BuyMarket()
            if self.Position <= 0:
                self.BuyMarket()
        # Lips crosses below teeth with alligator aligned (lips < teeth < jaw)
        elif self._prev_lips >= self._prev_teeth and lv < tv and lv < jv:
            if self.Position > 0:
                self.SellMarket()
            if self.Position >= 0:
                self.SellMarket()

        self._prev_lips = lv
        self._prev_teeth = tv

    def CreateClone(self):
        return sidus_alligator_strategy()